private IPvModel GenerateTestData()
{
Utils.Parallel.ParallelUtils.Instance.MultiThreaded = false;
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"];
var ins = new Forward
{
TradeId = "TestA",
AssetId = "FakeAsset",
ExpiryDate = _originDate.AddDays(180),
PaymentCurrency = zar,
Notional = 1e6,
Strike = 1400,
DiscountCurve = "DISCO-ZAR"
};
var pf = new Portfolio {
Instruments = new List <IInstrument> {
ins
}
};
var pillars = new[] { _originDate.AddDays(90), _originDate.AddDays(180) };
var discoUsd = new IrCurve(pillars, pillars.Select(p => 0.02).ToArray(), _originDate, "DISCO-USD", Interpolator1DType.Linear, usd);
var discoZar = new IrCurve(pillars, pillars.Select(p => 0.02).ToArray(), _originDate, "DISCO-ZAR", Interpolator1DType.Linear, zar);
var fxpairs = new List <FxPair>
{
new FxPair {
Domestic = usd, Foreign = zar, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
new FxPair {
Domestic = zar, Foreign = usd, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxMatrix.Init(usd, _originDate, new Dictionary <Currency, double> {
{ zar, 14.0 }
}, fxpairs, new Dictionary <Currency, string> {
{ usd, "DISCO-USD" }, { zar, "DISCO-ZAR" }
});
var fModel = new FundingModel(_originDate, new[] { discoUsd, discoZar }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var model = new AssetFxModel(_originDate, fModel);
var curve = new ConstantPriceCurve(100, _originDate, TestProviderHelper.CurrencyProvider);
model.AddPriceCurve("FakeAsset", curve);
model.AddFixingDictionary("FakeAsset", new FixingDictionary());
model.AttachPortfolio(pf);
return(model);
}
public static object CreateAssetFxModel(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Price curves")] object[] PriceCurves,
[ExcelArgument(Description = "Vol surfaces")] object[] VolSurfaces,
[ExcelArgument(Description = "Funding model")] object[] FundingModel,
[ExcelArgument(Description = "Fixing dictionaries")] object[] Fixings,
[ExcelArgument(Description = "Correlation matrix")] object[] CorrelationMatrix)
{
return(ExcelHelper.Execute(_logger, () =>
{
var curves = PriceCurves.GetAnyFromCache <IPriceCurve>();
var fundingModel = FundingModel.GetAnyFromCache <IFundingModel>().First();
var fixings = Fixings.GetAnyFromCache <IFixingDictionary>();
var volSurfaces = VolSurfaces.GetAnyFromCache <IVolSurface>();
var correlatinMatrix = CorrelationMatrix.GetAnyFromCache <ICorrelationMatrix>();
var model = new AssetFxModel(BuildDate, fundingModel);
foreach (var curve in curves)
{
model.AddPriceCurve(curve.Name, curve);
}
foreach (var vs in volSurfaces)
{
model.AddVolSurface(vs.Name, vs);
}
foreach (var f in fixings)
{
model.AddFixingDictionary(f.Name, f);
}
if (correlatinMatrix.Any())
{
model.CorrelationMatrix = correlatinMatrix.First();
}
return ExcelHelper.PushToCache <IAssetFxModel>(model, ObjectName);
}));
}
private (IAssetFxModel startModel, IAssetFxModel endModel, Portfolio portfolio) GenerateTestData()
{
Utils.Parallel.ParallelUtils.Instance.MultiThreaded = false;
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"];
var originDate = DateTime.Parse("2019-04-25");
var ins = new FxForward
{
TradeId = "TestA",
DeliveryDate = originDate.AddDays(30),
DomesticCCY = zar,
ForeignCCY = usd,
DomesticQuantity = 1e6,
Strike = 14,
ForeignDiscountCurve = "DISCO-USD"
};
var pf = new Portfolio {
Instruments = new List <IInstrument> {
ins
}
};
var discoUsd = new FlatIrCurve(0.02, usd, "DISCO-USD");
var discoZar = new FlatIrCurve(0.05, zar, "DISCO-ZAR");
var fxpairs = new List <FxPair>
{
new FxPair {
Domestic = usd, Foreign = zar, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
new FxPair {
Domestic = zar, Foreign = usd, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxMatrix.Init(zar, originDate, new Dictionary <Currency, double> {
{ usd, 14.0 }
}, fxpairs, new Dictionary <Currency, string> {
{ usd, "DISCO-USD" }, { zar, "DISCO-ZAR" }
});
var fModel = new FundingModel(originDate, new[] { discoUsd, discoZar }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var startModel = new AssetFxModel(originDate, fModel);
startModel.AddFixingDictionary("FakeAsset", new FixingDictionary());
startModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider));
startModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00)
{
AssetId = "FakeAsset", Currency = usd
});
var endFModel = fModel.DeepClone();
endFModel.FxMatrix.SpotRates[usd] = 15;
var endModel = startModel.Clone(endFModel);
endModel.AddFixingDictionary("FakeAsset", new FixingDictionary());
endModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider));
endModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00)
{
AssetId = "FakeAsset", Currency = usd
});
return(startModel, endModel, pf);
}
public void FixingsVolsCurvesFacts()
{
var fModel = new Mock <IFundingModel>();
var matrix = new Mock <IFxMatrix>();
var pair = new FxPair();
var dict = new Mock <IFixingDictionary>();
var surface = new Mock <IVolSurface>();
var surface2 = new Mock <IVolSurface>();
var surfaceFx = new Mock <IVolSurface>();
var curve = new Mock <IPriceCurve>();
curve.Setup(c => c.GetPriceForDate(DateTime.Today)).Returns(456.0);
curve.Setup(c => c.GetPriceForFixingDate(DateTime.Today)).Returns(457.0);
surface.Setup(s => s.AssetId).Returns("blah");
surface2.Setup(s => s.AssetId).Returns("blah2");
matrix.Setup(f => f.GetFxPair(It.IsAny <string>())).Returns(pair);
fModel.Setup(f => f.GetFxRate(It.IsAny <DateTime>(), It.IsAny <Currency>(), It.IsAny <Currency>())).Returns(77.0);
fModel.Setup(f => f.FxMatrix).Returns(matrix.Object);
fModel.Setup(f => f.VolSurfaces).Returns(new Dictionary <string, IVolSurface> {
{ "bla/haa", surfaceFx.Object }
});
var sut = new AssetFxModel(DateTime.Today, fModel.Object);
sut.AddPriceCurve("blah", curve.Object);
sut.AddPriceCurves(new Dictionary <string, IPriceCurve> {
{ "blah2", curve.Object }
});
Assert.Same(curve.Object, sut.GetPriceCurve("blah"));
Assert.Same(curve.Object, sut.GetPriceCurve("blah2"));
sut.AddFixingDictionary("blah", dict.Object);
sut.AddFixingDictionaries(new Dictionary <string, IFixingDictionary> {
{ "blah2", dict.Object }
});
Assert.Same(dict.Object, sut.GetFixingDictionary("blah"));
Assert.Same(dict.Object, sut.GetFixingDictionary("blah2"));
Assert.False(sut.TryGetFixingDictionary("wooo", out var flob));
sut.AddVolSurface("blah", surface.Object);
sut.AddVolSurfaces(new Dictionary <string, IVolSurface> {
{ "blah2", surface2.Object }
});
Assert.Same(surface.Object, sut.GetVolSurface("blah"));
Assert.Same(surface2.Object, sut.GetVolSurface("blah2"));
sut.GetVolForStrikeAndDate("blah", DateTime.Today, 123);
surface.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 456), Times.Once);
sut.GetVolForDeltaStrikeAndDate("blah", DateTime.Today, 123);
surface.Verify(s => s.GetVolForDeltaStrike(123, DateTime.Today, 457.0), Times.Once);
sut.GetAverageVolForStrikeAndDates("blah", new[] { DateTime.Today }, 123);
surface.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 456), Times.Exactly(2));
sut.GetAverageVolForMoneynessAndDates("blah", new[] { DateTime.Today }, 1.0);
surface.Verify(s => s.GetVolForAbsoluteStrike(456, DateTime.Today, 456), Times.Exactly(2));
sut.GetFxVolForStrikeAndDate("bla/haa", DateTime.Today, 123);
surfaceFx.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 77), Times.Once);
sut.GetFxVolForDeltaStrikeAndDate("bla/haa", DateTime.Today, 123);
surfaceFx.Verify(s => s.GetVolForDeltaStrike(123, DateTime.Today, 77), Times.Once);
sut.OverrideBuildDate(DateTime.MinValue);
Assert.Equal(DateTime.MinValue, sut.BuildDate);
sut.OverrideBuildDate(DateTime.Today);
}